Unfortunately you cannot add a flange to a conical sheet metal part. And I haven't found a way to convert a conical part to sheet metal. I suppose it's because GMD sheet metal is designed for straight brake forming while conical are more rolled process.
You may be able to cheat the system a bit by creating your cone without flanges then, in the 2d drawing, sketch them in. Not having done this I am not sure how that would work out. You would need to know the Bend Allowance/Deduction for the proposed bend in so you get the correct flat pattern.